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Summary: The Commitments of Traders report highlight speculators positions and changes made during the week to October 20 in FX, bonds and stocks. A mixed week for the dollar which led some light short covering while the leveraged fund short in U.S. T-bonds futures hit a fresh record
Saxo Bank publishes two weekly Commitment of Traders reports (COT) covering leveraged fund positions in bonds and stock index futures. For IMM currency futures and the VIX, we use the broader measure called non-commercial.
This summary highlights futures positions and changes made by speculators in forex, bonds and stocks up until last Tuesday, October 20.
A week where the lack of progress on a U.S. stimulus package and a continued rise in global Covid-19 cases helped sent the S&P 500 lower by 2%. The Dollar Index meanwhile dropped 0.5% while long-end bond yields ticked higher to reach a four-month high.
It was a mixed week in currencies with the dollar trading up against some and lower against others of the ten IMM currency futures tracked in this. Overall the combined dollar short was cut by 1% to $27.5 billion with selling of EUR, JPY and CAD being off-set by buying of CHF, GBP and AUD.
The reflation trade continued to gain momentum during a week where long end U.S. bond yields hit a four-month high. In response to this the leveraged fund net short in U.S. T-Bonds reached a new record of 447,314 lots, representing a nominal value of $78 billion.